Is it possible to force the links to open in their respective application and not in the default browser (e.g., Chrome)? For example, I get an email from Pinterest with interesting links for the week. When I click a pin, it opens in Chrome and not in the Pinterest app. This happens with a few apps and was wondering if there's a way to "open link with" type of feature.

I find it strange that the Gmail app isn't doing that. For instance: on Chrome on Android, click on recent tab showing an email on Chrome desktop; it would make sense in that case to open that email in the Gmail app.
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avernetNov 12 '14 at 18:46

In the general usage, you can't do it. The reason behind the links opening in a browser is that they use the same protocols of normal web links. So if the particular app is NOT a browser, the links have to be opened with a browser app.

But you may have seen some links (particularly links to android apps on the market) can be opened with the Google play market app. This is possible because those links uses market:// in their links rather than typical http://

If you need to confirm it try clearing the defaults of your chrome browser. It will make you choose an app to open a link when you click them. This will give you a open link with option (of course to use the browser apps)

To do this, go to Settings -> Apps and select chrome app. Scroll to the bottom and find a clear defaults button abd click it.

This isn't actually true. An app can register an intent to open any URL, even if it uses http. For example, the Play Store app will handle http://play.google.com/store/apps/details?id=foo links, as well as market:// links.
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Dan HulmeJul 9 '13 at 22:36